randcorr (1.0)

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Generate a Random p x p Correlation Matrix.


Implements the algorithm by Pourahmadi and Wang (2015) for generating a random p x p correlation matrix. Briefly, the idea is to represent the correlation matrix using Cholesky factorization and p(p-1)/2 hyperspherical coordinates (i.e., angles), sample the angles from a particular distribution and then convert to the standard correlation matrix form. The angles are sampled from a distribution with pdf proportional to sin^k(theta) (0 < theta < pi, k >= 1) using the efficient sampling algorithm described in Enes Makalic and Daniel F. Schmidt (2018) .

Maintainer: Daniel F. Schmidt
Author(s): Daniel F. Schmidt [aut, cph, cre], Enes Makalic [aut, cph]

License: GPL (>= 3)

Uses: Does not use any package

Released about 1 year ago.



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